Robust Portfolio Optimization And Management


Robust Portfolio Optimization And Management
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470164891
Size: 49.47 MB
Format: PDF, Docs
View: 3483
Get Books

Robust Portfolio Optimization And Management

eBook File: Robust-portfolio-optimization-and-management.PDF Book by Frank J. Fabozzi, Robust Portfolio Optimization And Management Books available in PDF, EPUB, Mobi Format. Download Robust Portfolio Optimization And Management books, Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University


Robust Portfolio Optimization and Management
Language: en
Pages: 512
Authors: Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova, Sergio M. Focardi
Categories: Business & Economics
Type: BOOK - Published: 2007-08-10 - Publisher: John Wiley & Sons
Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi
Essays on Robust Portfolio Management
Language: en
Pages:
Authors: Lukas Plachel
Categories: Business & Economics
Type: BOOK - Published: 2019 - Publisher:
Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem. Despite its exceptional popularity, MPT poses a number of well-documented problems in practical applications. Especially the fact that it generates notoriously extreme and non-robust allocations which may seriously impair the out-of-sample performance. This thesis introduces
Equity Valuation and Portfolio Management
Language: en
Pages: 576
Authors: Frank J. Fabozzi, Harry M. Markowitz
Categories: Business & Economics
Type: BOOK - Published: 2011-09-20 - Publisher: John Wiley & Sons
A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity
Robust Equity Portfolio Management
Language: en
Pages: 256
Authors: Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi
Categories: Business & Economics
Type: BOOK - Published: 2015-11-25 - Publisher: John Wiley & Sons
A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. Beginning with the fundamentals before moving into advanced techniques, this book provides useful coverage for both beginners and advanced readers. MATLAB code is provided to
The Use of Risk Budgets in Portfolio Optimization
Language: en
Pages: 424
Authors: Albina Unger
Categories: Business & Economics
Type: BOOK - Published: 2014-09-10 - Publisher: Springer
Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the
QFINANCE
Language: en
Pages: 2200
Authors: Bloomsbury Publishing
Categories: Business & Economics
Type: BOOK - Published: 2014-11-20 - Publisher: Bloomsbury Publishing
QFINANCE: The Ultimate Resource (5th edition) is the first-step reference for the finance professional or student of finance. Its coverage and author quality reflect a fine blend of practitioner and academic expertise, whilst providing the reader with a thorough education in the may facets of finance.
Mathematical Methods for Finance
Language: en
Pages: 320
Authors: Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
Categories: Business & Economics
Type: BOOK - Published: 2013-09-04 - Publisher: John Wiley & Sons
The mathematical and statistical tools needed in the rapidlygrowing quantitative finance field With the rapid growth in quantitative finance, practitionersmust achieve a high level of proficiency in math and statistics.Mathematical Methods and Statistical Tools for Finance, partof the Frank J. Fabozzi Series, has been created with this in mind.Designed to
Investment Management:A Science to Teach Or an Art to Learn?
Language: en
Pages: 112
Authors: Frank J. Fabozzi, Sergio M. Focardi, Caroline Jonas
Categories: Investments
Type: BOOK - Published: 2014-05-16 - Publisher: CFA Institute Research Foundation
Following the 2007–09 financial crisis, mainstream finance theory was criticized for failing to forecast the market crash, which resulted in large losses for investors. Has our finance theory, which many consider an idealization that does not take reality into account, failed investors? Do we need to reconsider the theory and
Simulation and Optimization in Finance
Language: en
Pages: 896
Authors: Dessislava A. Pachamanova, Frank J. Fabozzi
Categories: Business & Economics
Type: BOOK - Published: 2010-09-23 - Publisher: John Wiley & Sons
An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an
Quantitative Credit Portfolio Management
Language: en
Pages: 416
Authors: Arik Ben Dor, Lev Dynkin, Jay Hyman, Bruce D. Phelps
Categories: Business & Economics
Type: BOOK - Published: 2011-11-08 - Publisher: John Wiley & Sons
An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two